Internal Approaches for calculating own funds requirements
On this provision: 1 technical standard
Amendment details· last amended 30 Dec 2024
Last amended 30 Dec 2024 by Regulation (EU) 2023/1114 of 31 May 2023.
Competent authorities shall encourage institutions that are significant in terms of their size, internal organisation and the nature, scale and complexity of their activities to develop internal credit risk assessment capacity and to increase use of the internal ratings based approach for calculating own funds requirements for credit risk where their exposures are material in absolute terms and where they have at the same time a large number of material counterparties. This Article shall be without prejudice to the fulfilment of criteria laid down in Part Three, Title I, Chapter 3, Section 1 of Regulation (EU) No 575/2013.
Competent authorities shall, taking into account the nature, scale and complexity of institutions’ activities, monitor that they do not solely or mechanistically rely on external credit ratings for assessing the creditworthiness of an entity or financial instrument.
Competent authorities shall encourage institutions, taking into account their size, internal organisation and the nature, scale and complexity of their activities, to develop internal market risk assessment capacity and to increase the use of internal models for calculating own funds requirements for portfolios of trading book positions, together with internal models to calculate own funds requirements for default risk where their exposures to default risk are material in absolute terms and where they have a large number of material positions in traded debt or equity instruments of different issuers.
This Article is without prejudice to the fulfilment of the criteria laid down in Part Three, Title IV, Chapter 1b, of Regulation (EU) No 575/2013.
EBA shall develop draft regulatory technical standards to define the concept of ‘exposures to default risk which are material in absolute terms’ referred to in paragraph 3, first subparagraph, and the thresholds for large numbers of material counterparties and positions in traded debt or equity instruments of different issuers.
EBA shall submit those draft regulatory technical standards to the Commission by 1 January 2014.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.